When building a CAD curve the RatesCalibrationCsvLoader fails as there’s no TermDepositConvention for CAD-ShortDeposit-T0. Is there a way of defining conventions that aren’t hardcoded into Strata in such a way that RatesCalibrationCsvLoader is aware of them?

See the documentation. You can create your own class, similar to StandardTermDepositConventions and register it using a config file com/opengamma/strata/config/application/TermDepositConvention.ini. See the built in file TermDepositConvention.ini for an example of the format.

Currently, Strata does not have a CSV/INI loader for conventions like this. Thus, the simplest approach is to create a class that defines the conventions using Java code, just like StandardTermDepositConventions (a package scoped class). You then add

If you want to go further and write a CSV loader, you can. See IborIndexCsvLookup for an example of how to write it. If you did that, then you would use a provider of “instance” as you suggest.

I also wanted to draw your attention to how our community driven support operates. If you feel that you are moving beyond initial setup and would like more formal support with service levels, then please contact us!